Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0929
Annualized Std Dev 0.2364
Annualized Sharpe (Rf=0%) 0.3928

Row

Daily Return Statistics

Close
Observations 4788.0000
NAs 1.0000
Minimum -0.1425
Quartile 1 -0.0059
Median 0.0010
Arithmetic Mean 0.0005
Geometric Mean 0.0004
Quartile 3 0.0073
Maximum 0.1124
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0009
Variance 0.0002
Stdev 0.0149
Skewness -0.0480
Kurtosis 7.3302

Downside Risk

Close
Semi Deviation 0.0107
Gain Deviation 0.0106
Loss Deviation 0.0114
Downside Deviation (MAR=210%) 0.0152
Downside Deviation (Rf=0%) 0.0105
Downside Deviation (0%) 0.0105
Maximum Drawdown 0.5625
Historical VaR (95%) -0.0235
Historical ES (95%) -0.0357
Modified VaR (95%) -0.0220
Modified ES (95%) -0.0344
From Trough To Depth Length To Trough Recovery
2007-11-01 2009-03-09 2012-03-26 -0.5625 1108 339 769
2001-12-07 2002-10-09 2007-04-25 -0.5551 1285 166 1119
2020-02-20 2020-03-23 2020-06-10 -0.3089 78 23 55
2018-08-30 2018-12-24 2019-04-16 -0.2406 157 80 77
2015-12-07 2016-02-11 2016-07-18 -0.1536 154 46 108

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2001 NA NA NA NA NA NA NA NA NA NA 0.5 -1 -0.5
2002 1.1 4.2 0.9 -6 -1.1 0.5 -1.8 -2.8 3.8 1.3 4.1 -0.6 3.2
2003 -0.5 -0.8 0 -0.1 1.2 -0.1 0 1.1 1.9 0.4 1.6 0.1 4.8
2004 1.2 0.2 1.9 -0.3 -0.4 -1.3 0.9 0.5 2.1 0.4 1.4 0 6.7
2005 0.7 0.3 -0.2 0.3 1 0.2 0 0 0.3 -0.1 1.7 -0.4 3.9
2006 0.4 1.4 0.3 -0.5 1.2 0.6 -1.5 0.5 0.5 -0.9 -1.1 0.3 1
2007 -0.2 -0.6 -0.1 0.4 0.6 -0.6 1.7 1.5 0.9 -1.8 -0.5 -0.8 0.2
2008 1.8 -2.5 3.2 3.1 0.6 -0.1 0 -1.5 -0.4 1.4 -6.2 0.8 0
2009 -3.1 -0.3 2.5 1.3 3.4 0.6 0.2 -1.5 -2.6 -2.5 1.9 -1 -1.4
2010 0.8 1.2 0.6 -1.7 -1.1 -0.1 -0.3 2.8 0.2 0 2.3 -0.1 4.8
2011 1.8 -1.5 -0.1 0.1 -2.1 1.5 -0.3 -0.8 -2.6 -2.7 0.2 -0.3 -6.6
2012 1 0.3 -0.1 0.2 -2.9 3.1 -0.4 0.7 -0.1 0.9 -0.1 1.9 4.5
2013 0.9 0 -0.9 -0.8 -1.2 0.9 0.9 -0.6 1 0.1 0.5 0.5 1.2
2014 0 -0.1 1.2 -0.2 0.3 1.1 -0.7 0.5 -1.8 2 -0.8 -0.8 0.6
2015 -1.6 -0.5 -0.4 1.1 0 0.8 -0.3 -3.2 0.1 -0.7 1.1 -1.3 -4.7
2016 0.2 2.8 0.4 -1 -0.1 0.2 0.2 0.3 0.6 -0.7 -2.4 -0.8 -0.5
2017 0.6 1.4 -0.2 0.8 0.3 -0.1 0.4 0.1 0.9 0.4 -0.6 -0.4 3.6
2018 -0.1 -1.8 2.1 1 1.8 0.3 0.8 0.1 0.7 1.3 0.4 0.5 7.2
2019 0.5 0.9 1.3 -0.2 -1.7 1.5 -0.4 0.2 -0.8 1.5 -0.6 0.4 2.7
2020 -2.7 1.1 -5.3 -2.6 0.2 0.3 1.9 1.8 1.1 -2.2 1.3 0 -5.3
2021 2.7 3 0 NA NA NA NA NA NA NA NA NA 5.8

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart